Natural occurring polymers, or biopolymers, represent a huge part of our planet biomass. They are formed by long chains of monomers of the same type or a combination of different ones. Polysaccharides are biopolymers characterized by complex secondary structures performing several roles in plants, animals, and microorganisms. Because of their versatility and biodegradability, some of them are extensively used for packaging, food, pharmaceutical, and biomedical industries as sustainable and renewable materials. In the recent years, their manipulation at the nanometric scale enormously increased the range of potential applications, boosting an interdisciplinary research attempt to exploit all the potential advantages of nanostructured polysaccharides. Biomedical investigation mainly focused on nano-objects aimed at drug delivery, tissue repair, and vaccine adjuvants. The achievement of all these applications requires the deep knowledge of polysaccharide nanomaterials’ interactions with the immune system, which orchestrates the biological response to any foreign substance entering the body. In the present manuscript we focused on natural polysaccharides of high commercial importance, namely, starch, cellulose, chitin, and its deacetylated form chitosan, as well as the seaweed-derived carrageenan and alginate. We reviewed the available information on their biocompatibility, highlighting the importance of their physicochemical feature at the nanoscale for the modulation of the immune system.